THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION

DOI10.1017/S0266466607070405zbMath1237.62110MaRDI QIDQ2886973

Yong Bao

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070405

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

60G10: Stationary stochastic processes

Related Items

Joint confidence sets for structural impulse responses, Impulse response matching estimators for DSGE models, Bias in the estimation of the mean reversion parameter in continuous time models, Jackknife estimation of stationary autoregressive models, Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models, Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models, Expectation of quadratic forms in normal and nonnormal variables with applications, Improving the estimation and predictions of small time series models, Least Squares Bias in Time Series with Moderate Deviations from a Unit Root

Cites Work

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